The issue I have is that I have multiple companies and the Opportunity is created in Company A and the after when I create the Sales Order using that opportunity, I get an error saying opportunity is in a different company than the Sales Order. 

The User had a setting for Default Company and it is set to Company B.

If this is changed to Company A, it works.

The sales order is created in the default company. But the opportunity is not.

I just want to know how to fix this. Is there a way to set Opportunity default company ?

Even when I try send the 'company_id' in the payload when creating the opportunity, it gives and error.